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ORCIDRudi Zagst
Person information
- affiliation: Technical University Munich, Germany
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2020 – today
- 2024
[j13]Marcos Escobar-Anel
, Ben Spies, Rudi Zagst:
Optimal consumption and investment in general affine GARCH models. OR Spectr. 46(3): 987-1026 (2024)- 2022
- [j12]Marcos Escobar-Anel, Maximilian Keller, Rudi Zagst:
Optimal HARA Investments with Terminal VaR Constraints. Adv. Oper. Res. 2022: 6357701:1-6357701:20 (2022) - [j11]Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst:
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation. Math. Methods Oper. Res. 95(1): 101-140 (2022)
2010 – 2019
- 2019
- [j10]Marcos Escobar, Paul Kriebel, Markus Wahl, Rudi Zagst:
Portfolio optimization under Solvency II. Ann. Oper. Res. 281(1-2): 193-227 (2019) - 2016
- [j9]Marcos Escobar, Benedikt Rudolph, Rudi Zagst:
Algorithm 963: Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions. ACM Trans. Math. Softw. 42(4): 33:1-33:26 (2016) - 2012
- [j8]Philipp Aigner, Georg Beyschlag, Tim Friederich, Markus Kalepky, Rudi Zagst:
Modeling and managing portfolios including listed private equity. Comput. Oper. Res. 39(4): 753-764 (2012) - 2011
- [j7]Rudi Zagst, Julia Kraus:
Stochastic dominance of portfolio insurance strategies - OBPI versus CPPI. Ann. Oper. Res. 185(1): 75-103 (2011) - [j6]German Bernhart, Stephan Höcht, Michael Neugebauer, Michael Neumann, Rudi Zagst:
Asset Correlations in Turbulent Markets and the Impact of Different Regimes on Asset Management. Asia Pac. J. Oper. Res. 28(1): 1-23 (2011) - 2010
- [j5]Katrin Schöttle, Ralf Werner, Rudi Zagst:
Comparison and robustification of Bayes and Black-Litterman models. Math. Methods Oper. Res. 71(3): 453-475 (2010)
2000 – 2009
- 2008
- [j4]Gerhard Scheuenstuhl, Rudi Zagst:
Integrated portfolio management with options. Eur. J. Oper. Res. 185(3): 1477-1500 (2008) - 2003
- [j3]Rudi Zagst, Jan Kehrbaum, Bernd Schmid:
Portfolio Optimization Under Credit Risk. Comput. Stat. 18(3): 317-338 (2003)
1990 – 1999
- 1995
- [j2]Rudi Zagst:
The effect of information in separable Bayesian semi-Markov control models and its application to investment planning. Math. Methods Oper. Res. 41(3): 277-288 (1995) - 1994
- [j1]Ulrich Rieder, Rudi Zagst:
Monotonicity and bounds for convex stochastic control models. Math. Methods Oper. Res. 39(2): 187-207 (1994)
Coauthor Index
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